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~isPartOf:"The journal of risk model validation"
~subject:"Kreditderivat"
~subject:"Theory"
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Credit Default Swaps as Hedgin...
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Kreditderivat
Theory
Risikomaß
79
Risk measure
79
Credit derivative
46
Credit risk
42
Kreditrisiko
42
Theorie
37
Portfolio selection
27
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Fabozzi, Frank J.
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Dor, Arik Ben
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The journal of fixed income
The journal of risk model validation
Insurance / Mathematics & economics
194
Journal of banking & finance
149
European journal of operational research : EJOR
104
Finance research letters
82
Risks : open access journal
79
International review of financial analysis
70
Economic modelling
58
Journal of empirical finance
58
International journal of theoretical and applied finance
57
The journal of credit risk : published quarterly by Incisive Media
52
Journal of risk
51
The journal of structured finance
51
Quantitative finance
49
Applied economics
48
Research paper series / Swiss Finance Institute
47
Journal of international financial markets, institutions & money
45
Discussion paper / Tinbergen Institute
44
Journal of financial stability
42
The North American journal of economics and finance : a journal of financial economics studies
37
International journal of forecasting
36
Journal of financial economics
36
SFB 649 discussion paper
36
The European journal of finance
36
NBER working paper series
35
Journal of risk and financial management : JRFM
33
Working paper / National Bureau of Economic Research, Inc.
33
Finance and stochastics
32
International review of economics & finance : IREF
31
Management science : journal of the Institute for Operations Research and the Management Sciences
31
NBER Working Paper
31
Journal of econometrics
30
Journal of economic dynamics & control
30
Computational economics
29
Journal of international money and finance
29
Mathematical finance : an international journal of mathematics, statistics and financial theory
29
Scandinavian actuarial journal
28
The journal of derivatives : the official publication of the International Association of Financial Engineers
28
Finance and economics discussion series
27
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ECONIS (ZBW)
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1
Are liquidity and counterparty risk priced in the credit default swap market?
Pu, Xiaoling
;
Wang, Junbo
;
Wu, Chunchi
- In:
The journal of fixed income
20
(
2010/11
)
4
,
pp. 59-79
Persistent link: https://www.econbiz.de/10009007990
Saved in:
2
Conditioned likelihood estimation of nonnormal distributions : risk estimation of credit portfolios in stressed markets
Oteng-Amoako, Kingsley
- In:
The journal of risk model validation
8
(
2014
)
3
,
pp. 3-31
Persistent link: https://www.econbiz.de/10010423915
Saved in:
3
Toward model value-at-risk : bespoke CDO tranches, a case study
Cohort, Pierre
;
Levy dit Vehel, Pierre Emmanuel
; …
- In:
The journal of risk model validation
7
(
2013
)
3
,
pp. 21-34
Persistent link: https://www.econbiz.de/10010480651
Saved in:
4
Bayesian backtesting for counterparty risk models
Zelvyte, Mante
;
Arnsdorf, Matthias
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014485763
Saved in:
5
Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Wing, Jean Paul Chung
;
Gonpot, Preethee Nunkoo
- In:
The journal of risk model validation
9
(
2015
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011410313
Saved in:
6
The role of the loss function in value-at-risk comparisons
Abad, Pilar
;
Benito Muela, Sonia
;
López Martin, Carmen
- In:
The journal of risk model validation
9
(
2015
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10010516723
Saved in:
7
Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie
;
Westgaard, Sjur
;
Gjølberg, Ole
- In:
The journal of risk model validation
9
(
2015
)
2
,
pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
Saved in:
8
Backtesting solvency II value-at-risk models using a rolling horizon
Loois, Miriam
- In:
The journal of risk model validation
9
(
2015
)
2
,
pp. 13-31
Persistent link: https://www.econbiz.de/10011326311
Saved in:
9
Value-at-risk time scaling : a Monte Carlo approach
Malataliana, Moepa
;
Rigotard, Michael
- In:
The journal of risk model validation
10
(
2016
)
1
,
pp. 47-57
Persistent link: https://www.econbiz.de/10011485151
Saved in:
10
Bond portfolio optimization : a risk-return approach
Korn, Olaf
;
Koziol, Christion
- In:
The journal of fixed income
15
(
2006
)
4
,
pp. 48-60
Persistent link: https://www.econbiz.de/10003339406
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